HTML
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SCHEDULE OF INVESTMENTS |
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Small Cap Growth (in thousands) |
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MARCH 31, 2019 (UNAUDITED) |
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COMMON STOCKS |
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Shares |
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Value |
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Communication Services |
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Broadcasting 2.0% |
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Nexstar Broadcasting Group, Inc. |
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75 |
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$ |
8,155 |
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Interactive Media & Services 0.3% |
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Yelp, Inc.(A) |
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39 |
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1,340 |
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Total Communication Services - 2.3% |
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9,495 |
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Consumer Discretionary |
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Apparel Retail 0.4% |
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Urban Outfitters, Inc.(A) |
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57 |
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1,699 |
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Auto Parts & Equipment 0.7% |
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Dorman Products, Inc.(A) |
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30 |
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2,663 |
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Automotive Retail 0.9% |
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Carvana Co.(A)(B) |
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64 |
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3,741 |
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Casinos & Gaming 2.1% |
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Eldorado Resorts, Inc.(A) |
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95 |
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4,455 |
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PlayAGS, Inc.(A) |
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170 |
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4,071 |
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8,526 |
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Distributors 1.3% |
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Pool Corp. |
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33 |
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5,367 |
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Education Services 2.1% |
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Grand Canyon Education, Inc.(A) |
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74 |
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8,455 |
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General Merchandise Stores 1.2% |
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Ollies Bargain Outlet Holdings, Inc.(A) |
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58 |
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4,981 |
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Homebuilding 1.1% |
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Installed Building Products, Inc.(A) |
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89 |
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4,339 |
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Homefurnishing Retail 0.5% |
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At Home Group, Inc.(A) |
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102 |
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1,829 |
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Hotels, Resorts & Cruise Lines 1.0% |
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Hilton Grand Vacations, Inc.(A) |
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133 |
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4,101 |
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Internet & Direct Marketing Retail 1.8% |
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Etsy, Inc.(A) |
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110 |
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7,418 |
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Leisure Facilities 1.2% |
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SeaWorld Entertainment, Inc.(A) |
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182 |
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4,698 |
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Restaurants 2.5% |
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Texas Roadhouse, Inc., Class A |
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67 |
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4,188 |
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Wingstop, Inc. |
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76 |
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5,793 |
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9,981 |
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Specialty Stores 1.0% |
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Five Below, Inc.(A) |
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31 |
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3,901 |
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Total Consumer Discretionary - 17.8% |
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71,699 |
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Consumer Staples |
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Distillers & Vintners 0.4% |
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MGP Ingredients, Inc. |
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18 |
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1,371 |
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Food Retail 0.9% |
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Sprouts Farmers Market, Inc.(A) |
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170 |
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3,654 |
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Packaged Foods & Meats 1.3% |
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Calavo Growers, Inc. |
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5 |
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411 |
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J&J Snack Foods Corp. |
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25 |
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4,044 |
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Nomad Foods Ltd.(A) |
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46 |
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941 |
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5,396 |
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Total Consumer
Staples - 2.6% |
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10,421 |
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Energy |
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Oil & Gas Exploration &
Production 1.4% |
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Magnolia Oil & Gas Corp.(A) |
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197 |
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2,358 |
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Matador Resources Co.(A) |
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166 |
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3,211 |
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5,569 |
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Total Energy - 1.4% |
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5,569 |
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Financials |
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Consumer Finance 0.6% |
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Green Dot Corp., Class A(A) |
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42 |
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2,561 |
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Investment Banking & Brokerage 2.4% |
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Evercore Partners, Inc. |
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47 |
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4,287 |
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LPL Investment Holdings, Inc. |
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76 |
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5,303 |
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9,590 |
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Regional Banks 1.3% |
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Heritage Financial Corp. |
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62 |
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1,870 |
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Seacoast Banking Corp. of Florida(A) |
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126 |
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3,328 |
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5,198 |
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Total Financials - 4.3% |
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17,349 |
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Health Care |
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Health Care Distributors 1.4% |
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PetIQ, Inc.(A) |
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183 |
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5,750 |
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Health Care Equipment 6.9% |
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AxoGen, Inc.(A) |
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71 |
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1,495 |
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Inogen, Inc.(A) |
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51 |
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4,888 |
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Insulet Corp.(A) |
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57 |
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5,437 |
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iRhythm Technologies, Inc.(A) |
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61 |
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4,548 |
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NovoCure Ltd.(A) |
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60 |
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2,890 |
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Penumbra, Inc.(A) |
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28 |
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4,052 |
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Tactile Systems Technology, Inc.(A) |
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81 |
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4,271 |
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27,581 |
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Health Care Services 4.8% |
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AMN Healthcare Services, Inc.(A) |
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111 |
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5,221 |
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LHC Group, Inc.(A) |
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49 |
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5,422 |
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Teladoc Health, Inc.(A) |
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155 |
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8,640 |
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19,283 |
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Health Care Supplies 1.9% |
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Merit Medical Systems, Inc.(A) |
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92 |
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5,699 |
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STAAR Surgical Co.(A) |
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57 |
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1,941 |
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7,640 |
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Health Care Technology 3.8% |
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CareDx, Inc.(A) |
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153 |
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4,817 |
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Evolent Health, Inc., Class A(A) |
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227 |
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2,855 |
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HMS Holdings Corp.(A) |
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120 |
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3,545 |
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Omnicell, Inc.(A) |
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22 |
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1,796 |
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Tabula Rasa HealthCare, Inc.(A) |
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43 |
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2,446 |
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15,459 |
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Managed Health Care 1.2% |
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HealthEquity, Inc.(A) |
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63 |
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4,639 |
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Pharmaceuticals 1.8% |
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Aerie Pharmaceuticals, Inc.(A) |
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104 |
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4,956 |
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Intersect ENT, Inc.(A) |
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38 |
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1,229 |
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OptiNose, Inc.(A)(B) |
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112 |
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1,151 |
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7,336 |
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Total Health Care - 21.8% |
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87,688 |
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Industrials |
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Aerospace & Defense 2.6% |
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Kratos Defense & Security Solutions, Inc.(A) |
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26 |
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401 |
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Mercury Computer Systems, Inc.(A) |
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156 |
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9,987 |
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10,388 |
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Air Freight & Logistics 1.1% |
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Air Transport Services Group, Inc.(A) |
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196 |
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4,516 |
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Building Products 0.3% |
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PGT Innovations, Inc.(A) |
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|
91 |
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1,259 |
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Diversified Support Services 0.8% |
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Healthcare Services Group, Inc. |
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|
96 |
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3,154 |
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Electrical Components & Equipment 0.6% |
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EnerSys |
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37 |
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2,413 |
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Environmental & Facilities Services 1.5% |
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Clean Harbors, Inc.(A) |
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85 |
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6,088 |
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Industrial Machinery 6.2% |
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Crane Co. |
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36 |
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3,047 |
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John Bean Technologies Corp. |
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60 |
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5,523 |
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RBC Bearings, Inc.(A) |
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34 |
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4,372 |
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Timken Co. (The) |
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130 |
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5,666 |
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Woodward, Inc. |
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69 |
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|
6,500 |
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25,108 |
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Research & Consulting Services 0.2% |
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Willdan Group, Inc.(A) |
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23 |
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843 |
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Security & Alarm Services 1.4% |
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Brinks Co. (The) |
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75 |
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5,664 |
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Trading Companies & Distributors 0.5% |
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Watsco, Inc. |
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15 |
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2,112 |
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Trucking 1.0% |
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Knight Transportation, Inc. |
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|
120 |
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3,907 |
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Total Industrials - 16.2% |
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65,452 |
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Information Technology |
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Application Software 16.3% |
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Cornerstone OnDemand, Inc.(A) |
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30 |
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1,629 |
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Coupa Software, Inc.(A) |
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20 |
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1,803 |
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Envestnet, Inc.(A) |
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|
73 |
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4,746 |
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Five9, Inc.(A) |
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|
151 |
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|
7,968 |
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Globant S.A.(A) |
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54 |
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3,830 |
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HubSpot, Inc.(A) |
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32 |
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|
5,310 |
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Mimecast Ltd.(A) |
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|
177 |
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|
8,363 |
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New Relic, Inc.(A) |
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45 |
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4,421 |
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Paycom Software, Inc.(A) |
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35 |
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|
6,550 |
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Pluralsight, Inc., Class A(A) |
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|
163 |
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|
5,187 |
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Q2 Holdings, Inc.(A) |
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|
95 |
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|
6,577 |
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RealPage, Inc.(A) |
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|
59 |
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|
3,566 |
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Zendesk, Inc.(A) |
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68 |
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|
|
5,810 |
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65,760 |
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Communications Equipment 0.8% |
|
Viavi Solutions, Inc.(A) |
|
|
247 |
|
|
|
3,052 |
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Data Processing & Outsourced Services 0.7% |
|
EVO Payments, Inc., Class A(A) |
|
|
100 |
|
|
|
2,916 |
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Internet Services & Infrastructure 0.9% |
|
8x8, Inc.(A) |
|
|
168 |
|
|
|
3,389 |
|
|
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|
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IT Consulting & Other Services 4.0% |
|
Booz Allen Hamilton Holding Corp. |
|
|
146 |
|
|
|
8,475 |
|
Chegg, Inc.(A) |
|
|
22 |
|
|
|
823 |
|
InterXion Holding N.V.(A) |
|
|
104 |
|
|
|
6,940 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,238 |
|
|
|
|
|
|
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Semiconductors 1.5% |
|
Monolithic Power Systems, Inc. |
|
|
44 |
|
|
|
5,944 |
|
|
|
|
|
|
|
|
|
|
Systems Software 4.5% |
|
Proofpoint, Inc.(A) |
|
|
74 |
|
|
|
8,940 |
|
SailPoint Technologies Holdings, Inc.(A) |
|
|
56 |
|
|
|
1,606 |
|
Varonis Systems, Inc.(A) |
|
|
87 |
|
|
|
5,199 |
|
Zscaler, Inc.(A) |
|
|
35 |
|
|
|
2,510 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,255 |
|
|
|
|
|
|
|
|
|
|
Total Information
Technology - 28.7% |
|
|
|
115,554 |
|
|
|
|
|
|
|
Real Estate |
|
Health Care REITs 0.6% |
|
Community Healthcare Trust, Inc. |
|
|
63 |
|
|
|
2,244 |
|
|
|
|
|
|
|
|
|
|
Total Real
Estate - 0.6% |
|
|
|
2,244 |
|
|
|
|
|
|
|
TOTAL COMMON STOCKS 95.7% |
|
|
$ |
385,471 |
|
|
|
|
|
|
|
(Cost: $302,432) |
|
|
|
|
SHORT-TERM SECURITIES |
|
Principal |
|
|
|
|
Commercial Paper(C) - 3.2% |
|
CVS Health Corp., 2.621%,
4-1-19 |
|
$ |
7,000 |
|
|
|
6,998 |
|
Walgreens Boots Alliance, Inc.,
2.551%, 4-1-19 |
|
|
6,105 |
|
|
|
6,104 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,102 |
|
|
|
|
|
|
|
|
|
|
Master Note - 1.1% |
|
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15
bps), 2.710%, 4-5-19(D) |
|
|
4,371 |
|
|
|
4,371 |
|
|
|
|
|
|
|
|
|
|
Money Market Funds - 1.1% |
|
Dreyfus Institutional Preferred Government Money Market Fund - Institutional Shares, 2.360%,
(E)(F) |
|
|
4,461 |
|
|
|
4,461 |
|
|
|
|
|
|
|
|
|
|
TOTAL SHORT-TERM SECURITIES 5.4% |
|
|
$ |
21,934 |
|
|
|
|
|
|
|
(Cost: $21,937) |
|
|
|
TOTAL INVESTMENT SECURITIES 101.1% |
|
|
$ |
407,405 |
|
|
|
|
|
|
|
(Cost: $324,369) |
|
|
|
|
|
|
|
|
|
|
LIABILITIES, NET OF CASH AND OTHER ASSETS (1.1)% |
|
|
(4,458 |
) |
|
|
|
|
|
NET ASSETS 100.0% |
|
$ |
402,947 |
|
|
|
|
|
|
Notes to Schedule of Investments
* |
Not shown due to rounding. |
(A) |
No dividends were paid during the preceding 12 months. |
(B) |
All or a portion of securities with an aggregate value of $4,342 are on loan. |
(C) |
Rate shown is the yield to maturity at March 31, 2019. |
(D) |
Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2019. Date shown
represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
(E) |
Investment made with cash collateral received from securities on loan. |
(F) |
Rate shown is the annualized 7-day yield at March 31, 2019.
|
The following total return swap agreements were outstanding at March 31, 2019:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Underlying Security |
|
Counterparty |
|
Maturity Date |
|
|
Notional Amount |
|
|
Financing Fee(1)(2) |
|
Value |
|
|
Upfront Payments/ (Receipts) |
|
|
Unrealized Appreciation |
|
Biotech Custom Index |
|
Goldman Sachs International |
|
|
02/28/2020 |
|
|
$ |
12,663 |
|
|
1-Month LIBOR plus 10 bps |
|
$ |
117 |
|
|
$ |
|
|
|
$ |
117 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1) |
The Portfolio pays the financing fee multiplied by the notional amount if long on the swap agreement. If the
Portfolio is short on the swap agreement, the Portfolio receives the financing fee multiplied by the notional amount. |
(2) |
At the termination date, a net cash flow is exchanged where the market-linked total return is equivalent to the
return of the underlying security less a financing rate, if any. If the Portfolio is long on the swap agreement, the Portfolio would receive payments on any net positive total return, and would owe payments in the event of a negative total
return. If the Portfolio is short on the swap agreement, the Portfolio would owe payments on any net positive total return, and would receive payments in the event of a negative total return. |
The following table represents security positions within the total return basket swap as of March 31, 2019:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Entity |
|
Shares |
|
|
Notional Amount |
|
|
Value |
|
|
% of Value |
|
Array BioPharma, Inc. |
|
|
|
* |
|
|
505 |
|
|
|
5 |
|
|
|
4.0 |
% |
Horizon Pharma plc |
|
|
|
* |
|
|
447 |
|
|
|
4 |
|
|
|
3.5 |
|
FibroGen, Inc. |
|
|
|
* |
|
|
418 |
|
|
|
4 |
|
|
|
3.3 |
|
Ultragenyx Pharmaceutical, Inc. |
|
|
|
* |
|
|
335 |
|
|
|
3 |
|
|
|
2.6 |
|
Blueprint Medicines Corp. |
|
|
|
* |
|
|
334 |
|
|
|
3 |
|
|
|
2.6 |
|
Global Blood Therapeutics, Inc. |
|
|
|
* |
|
|
268 |
|
|
|
2 |
|
|
|
2.1 |
|
ACADIA Pharmaceuticals, Inc. |
|
|
|
* |
|
|
265 |
|
|
|
2 |
|
|
|
2.1 |
|
Ligand Pharmaceuticals, Inc. |
|
|
|
* |
|
|
264 |
|
|
|
2 |
|
|
|
2.1 |
|
Amicus Therapeutics, Inc. |
|
|
|
* |
|
|
263 |
|
|
|
2 |
|
|
|
2.1 |
|
Immunomedics, Inc. |
|
|
|
* |
|
|
258 |
|
|
|
2 |
|
|
|
2.0 |
|
Intercept Pharmaceuticals, Inc. |
|
|
|
* |
|
|
248 |
|
|
|
2 |
|
|
|
2.0 |
|
Emergent BioSolutions, Inc. |
|
|
|
* |
|
|
234 |
|
|
|
2 |
|
|
|
1.8 |
|
Repligen Corp. |
|
|
|
* |
|
|
232 |
|
|
|
2 |
|
|
|
1.8 |
|
Insmed, Inc. |
|
|
|
* |
|
|
222 |
|
|
|
2 |
|
|
|
1.8 |
|
Spark Therapeutics, Inc. |
|
|
|
* |
|
|
212 |
|
|
|
2 |
|
|
|
1.7 |
|
Portola Pharmaceuticals, Inc. |
|
|
|
* |
|
|
211 |
|
|
|
2 |
|
|
|
1.7 |
|
Myriad Genetics, Inc. |
|
|
|
* |
|
|
208 |
|
|
|
2 |
|
|
|
1.6 |
|
Halozyme Therapeutics, Inc. |
|
|
|
* |
|
|
202 |
|
|
|
2 |
|
|
|
1.6 |
|
Ironwood Pharmaceuticals, Inc. |
|
|
|
* |
|
|
192 |
|
|
|
2 |
|
|
|
1.5 |
|
REGENXBIO, Inc. |
|
|
|
* |
|
|
185 |
|
|
|
2 |
|
|
|
1.5 |
|
Arena Pharmaceuticals, Inc. |
|
|
|
* |
|
|
181 |
|
|
|
2 |
|
|
|
1.4 |
|
Medicines Co. (The) |
|
|
|
* |
|
|
179 |
|
|
|
2 |
|
|
|
1.4 |
|
MyoKardia, Inc. |
|
|
|
* |
|
|
178 |
|
|
|
2 |
|
|
|
1.4 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Zogenix, Inc. |
|
|
|
* |
|
|
173 |
|
|
|
2 |
|
|
|
1.4 |
|
Supernus Pharmaceuticals, Inc. |
|
|
|
* |
|
|
172 |
|
|
|
2 |
|
|
|
1.4 |
|
Aerie Pharmaceuticals, Inc. |
|
|
|
* |
|
|
172 |
|
|
|
2 |
|
|
|
1.4 |
|
PTC Therapeutics, Inc. |
|
|
|
* |
|
|
170 |
|
|
|
2 |
|
|
|
1.3 |
|
Heron Therapeutics, Inc. |
|
|
|
* |
|
|
169 |
|
|
|
2 |
|
|
|
1.3 |
|
Atara Biotherapeutics, Inc. |
|
|
|
* |
|
|
166 |
|
|
|
2 |
|
|
|
1.3 |
|
Reata Pharmaceuticals, Inc. |
|
|
|
* |
|
|
161 |
|
|
|
1 |
|
|
|
1.3 |
|
Arrowhead Pharmaceuticals, Inc. |
|
|
|
* |
|
|
161 |
|
|
|
1 |
|
|
|
1.3 |
|
Enanta Pharmaceuticals, Inc. |
|
|
|
* |
|
|
160 |
|
|
|
1 |
|
|
|
1.3 |
|
AnaptysBio, Inc. |
|
|
|
* |
|
|
154 |
|
|
|
1 |
|
|
|
1.2 |
|
Pacira Pharmaceuticals, Inc. |
|
|
|
* |
|
|
153 |
|
|
|
1 |
|
|
|
1.2 |
|
Invitae Corp. |
|
|
|
* |
|
|
152 |
|
|
|
1 |
|
|
|
1.2 |
|
Acceleron Pharma, Inc. |
|
|
|
* |
|
|
151 |
|
|
|
1 |
|
|
|
1.2 |
|
Genomic Health, Inc. |
|
|
|
* |
|
|
148 |
|
|
|
1 |
|
|
|
1.2 |
|
Mirati Therapeutics, Inc. |
|
|
|
* |
|
|
147 |
|
|
|
1 |
|
|
|
1.2 |
|
Biohaven Pharmaceutical Holding Co. Ltd. |
|
|
|
* |
|
|
146 |
|
|
|
1 |
|
|
|
1.2 |
|
Xencor, Inc. |
|
|
|
* |
|
|
146 |
|
|
|
1 |
|
|
|
1.2 |
|
Audentes Therapeutics, Inc. |
|
|
|
* |
|
|
136 |
|
|
|
1 |
|
|
|
1.1 |
|
Amneal Pharmaceuticals, Inc. |
|
|
|
* |
|
|
125 |
|
|
|
1 |
|
|
|
1.0 |
|
Clovis Oncology, Inc. |
|
|
|
* |
|
|
119 |
|
|
|
1 |
|
|
|
0.9 |
|
Corcept Therapeutics, Inc. |
|
|
|
* |
|
|
118 |
|
|
|
1 |
|
|
|
0.9 |
|
Momenta Pharmaceuticals, Inc. |
|
|
|
* |
|
|
113 |
|
|
|
1 |
|
|
|
0.9 |
|
Editas Medicine, Inc. |
|
|
|
* |
|
|
113 |
|
|
|
1 |
|
|
|
0.9 |
|
Puma Biotechnology, Inc. |
|
|
|
* |
|
|
111 |
|
|
|
1 |
|
|
|
0.9 |
|
Denali Therapeutics, Inc. |
|
|
|
* |
|
|
105 |
|
|
|
1 |
|
|
|
0.8 |
|
Fate Therapeutics, Inc. |
|
|
|
* |
|
|
105 |
|
|
|
1 |
|
|
|
0.8 |
|
CareDx, Inc. |
|
|
|
* |
|
|
104 |
|
|
|
1 |
|
|
|
0.8 |
|
Iovance Biotherapeutics, Inc. |
|
|
|
* |
|
|
101 |
|
|
|
1 |
|
|
|
0.8 |
|
Spectrum Pharmaceuticals, Inc. |
|
|
|
* |
|
|
101 |
|
|
|
1 |
|
|
|
0.8 |
|
Theravance Biopharma, Inc. |
|
|
|
* |
|
|
100 |
|
|
|
1 |
|
|
|
0.8 |
|
Aimmune Therapeutics, Inc. |
|
|
|
* |
|
|
98 |
|
|
|
1 |
|
|
|
0.8 |
|
Innoviva, Inc. |
|
|
|
* |
|
|
98 |
|
|
|
1 |
|
|
|
0.8 |
|
Sangamo Therapeutics, Inc. |
|
|
|
* |
|
|
97 |
|
|
|
1 |
|
|
|
0.8 |
|
Intersect ENT, Inc. |
|
|
|
* |
|
|
97 |
|
|
|
1 |
|
|
|
0.8 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Vanda Pharmaceuticals, Inc. |
|
|
|
* |
|
|
95 |
|
|
|
1 |
|
|
|
0.8 |
|
Retrophin, Inc. |
|
|
|
* |
|
|
95 |
|
|
|
1 |
|
|
|
0.7 |
|
Esperion Therapeutics, Inc. |
|
|
|
* |
|
|
93 |
|
|
|
1 |
|
|
|
0.7 |
|
TherapeuticsMD, Inc. |
|
|
|
* |
|
|
90 |
|
|
|
1 |
|
|
|
0.7 |
|
Madrigal Pharmaceuticals, Inc. |
|
|
|
* |
|
|
88 |
|
|
|
1 |
|
|
|
0.7 |
|
Radius Health, Inc. |
|
|
|
* |
|
|
81 |
|
|
|
1 |
|
|
|
0.6 |
|
Omeros Corp. |
|
|
|
* |
|
|
81 |
|
|
|
1 |
|
|
|
0.6 |
|
Dicerna Pharmaceuticals, Inc. |
|
|
|
* |
|
|
78 |
|
|
|
1 |
|
|
|
0.6 |
|
BioCryst Pharmaceuticals, Inc. |
|
|
|
* |
|
|
76 |
|
|
|
1 |
|
|
|
0.6 |
|
Vericel Corp. |
|
|
|
* |
|
|
75 |
|
|
|
1 |
|
|
|
0.6 |
|
Veracyte, Inc. |
|
|
|
* |
|
|
71 |
|
|
|
1 |
|
|
|
0.6 |
|
Coherus Biosciences, Inc. |
|
|
|
* |
|
|
71 |
|
|
|
1 |
|
|
|
0.6 |
|
MacroGenics, Inc. |
|
|
|
* |
|
|
71 |
|
|
|
1 |
|
|
|
0.6 |
|
Apellis Pharmaceuticals, Inc. |
|
|
|
* |
|
|
70 |
|
|
|
1 |
|
|
|
0.5 |
|
WaVe Life Sciences Ltd. |
|
|
|
* |
|
|
70 |
|
|
|
1 |
|
|
|
0.5 |
|
Natera, Inc. |
|
|
|
* |
|
|
68 |
|
|
|
1 |
|
|
|
0.5 |
|
Alder Biopharmaceuticals, Inc. |
|
|
|
* |
|
|
66 |
|
|
|
1 |
|
|
|
0.5 |
|
Akebia Therapeutics, Inc. |
|
|
|
* |
|
|
65 |
|
|
|
1 |
|
|
|
0.5 |
|
Phibro Animal Health Corp. |
|
|
|
* |
|
|
65 |
|
|
|
1 |
|
|
|
0.5 |
|
Viking Therapeutics, Inc. |
|
|
|
* |
|
|
59 |
|
|
|
1 |
|
|
|
0.5 |
|
ANI Pharmaceuticals, Inc. |
|
|
|
* |
|
|
56 |
|
|
|
1 |
|
|
|
0.4 |
|
Cara Therapeutics, Inc. |
|
|
|
* |
|
|
55 |
|
|
|
|
* |
|
|
0.4 |
|
Epizyme, Inc. |
|
|
|
* |
|
|
55 |
|
|
|
|
* |
|
|
0.4 |
|
Athenex, Inc. |
|
|
|
* |
|
|
54 |
|
|
|
|
* |
|
|
0.4 |
|
Revance Therapeutics, Inc. |
|
|
|
* |
|
|
53 |
|
|
|
|
* |
|
|
0.4 |
|
Allogene Therapeutics, Inc. |
|
|
|
* |
|
|
52 |
|
|
|
|
* |
|
|
0.4 |
|
CytomX Therapeutics, Inc. |
|
|
|
* |
|
|
47 |
|
|
|
|
* |
|
|
0.4 |
|
Flexion Therapeutics, Inc. |
|
|
|
* |
|
|
43 |
|
|
|
|
* |
|
|
0.3 |
|
Dynavax Technologies Corp. |
|
|
|
* |
|
|
40 |
|
|
|
|
* |
|
|
0.3 |
|
ImmunoGen, Inc. |
|
|
|
* |
|
|
40 |
|
|
|
|
* |
|
|
0.3 |
|
Intrexon Corp. |
|
|
|
* |
|
|
39 |
|
|
|
|
* |
|
|
0.3 |
|
Karyopharm Therapeutics, Inc. |
|
|
|
* |
|
|
18 |
|
|
|
|
* |
|
|
0.1 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
117 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Each Portfolios investments are
reported at fair value. Fair value is defined as the price that each Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of
inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market
participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the factors that market
participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to
ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.
An individual investments fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall
valuation. The three-tier hierarchy of inputs is summarized as follows:
|
|
Level 1 - Observable input such as quoted prices, available in active markets, for identical assets or
liabilities. |
|
|
Level 2 - Significant other observable inputs, which may include, but are not limited to, quoted prices for
similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as
interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs. |
|
|
Level 3 - Significant unobservable inputs based on the best information available in the circumstances, to the
extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments. |
The following table is a summary of the valuation of the Portfolios investments by the fair value hierarchy levels as of March 31, 2019:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$ |
385,471 |
|
|
$ |
|
|
|
$ |
|
|
Short-Term Securities |
|
|
4,461 |
|
|
|
17,473 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total |
|
$ |
389,932 |
|
|
$ |
17,473 |
|
|
$ |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Return Swaps |
|
$ |
|
|
|
$ |
117 |
|
|
$ |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The following acronyms are used throughout this schedule:
LIBOR = London Interbank Offered Rate
REIT = Real Estate
Investment Trust
For Federal income tax purposes, cost of investments owned at March 31, 2019 and the related unrealized appreciation (depreciation)
were as follows:
|
|
|
|
|
Cost |
|
$ |
324,369 |
|
|
|
|
|
|
Gross unrealized appreciation |
|
|
98,041 |
|
Gross unrealized depreciation |
|
|
(15,005 |
) |
|
|
|
|
|
Net unrealized appreciation |
|
$ |
83,036 |
|